Berlin 2012 – scientific programme
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AGjDPG: Arbeitsgruppe junge DPG
AGjDPG 3: Focus Session: Big Data (Contributed Talks)
AGjDPG 3.2: Talk
Monday, March 26, 2012, 17:30–17:45, HE 101
Quantifying Trading Behavior in Financial Markets Using Google Trends — Tobias Preis1,2,3, •Helen Susannah Moat1,4, H. Eugene Stanley2, and Dirk Helbing1,5 — 1Chair of Sociology, in particular of Modeling and Simulation, ETH Zurich, Clausiusstr. 50, 8092 Zurich, Switzerland — 2Center for Polymer Studies, Department of Physics, 590 Commonwealth Avenue, Boston, Massachusetts 02215, USA — 3Artemis Capital Asset Management GmbH, Gartenstr. 14, 65558 Holzheim, Germany — 4Department of Mathematics, UCL, Gower Street, London, WC1E 6BT, UK — 5Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, New Mexico 87501, USA
Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We show that massive new data sources resulting from human interaction with the Internet offer a different perspective on the behavior of market participants in periods before large market movements. Analyzing Google query volumes for search terms related to finance, we find that we can identify early warning signs of stock market moves. We further demonstrate that a trading strategy based on our analysis can outperform the market. Our results illustrate the unprecedented potential that combining extensive behavioral data sets offers for a better understanding of collective human behavior.
See also: http://www.tobiaspreis.de; http://www.suzymoat.co.uk; http://polymer.bu.edu/hes; http://www.soms.ethz.ch/people/dhelbing